I have my contact list from connecting to facebook.
You don't put email addresses in facebook; you communicate with facebook friends through facebook. So, exactly what is Windows Live supposed to import from facebook? I tried "connecting" to facebook from my little used Windows Live email account and no entries got added to Windows Live contacts. And, again, why would they, since we don't use email addresses in facebook, other than adding our own address so that we receive facebook notifictions?
Edit: Correction: I now see a facebook friends list in Windows Live but those do not appear when I open new message panel and click on To:, just as you've noted. But, again, why would they?